Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0754 |
| Annualized Std Dev | 0.2480 |
| Annualized Sharpe (Rf=0%) | 0.3043 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3924.0000 |
| NAs | 1.0000 |
| Minimum | -0.1353 |
| Quartile 1 | -0.0069 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1046 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.5025 |
| Kurtosis | 7.3983 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.6520 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0372 |
| Modified VaR (95%) | -0.0251 |
| Modified ES (95%) | -0.0502 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-20 | 2009-03-09 | 2013-05-28 | -0.6520 | 1495 | 433 | 1062 |
| 2018-09-04 | 2020-03-18 | 2020-11-24 | -0.4809 | 562 | 387 | 175 |
| 2015-06-24 | 2016-02-11 | 2016-11-25 | -0.2948 | 361 | 161 | 200 |
| 2014-03-06 | 2014-10-10 | 2015-03-20 | -0.1728 | 263 | 153 | 110 |
| 2006-05-08 | 2006-08-11 | 2006-12-27 | -0.1513 | 163 | 68 | 95 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | 0.4 | 0.4 | 0 | 1.6 | -0.7 | 1.7 |
| 2006 | 0.9 | 1.4 | 0.6 | -0.9 | 2.2 | 0.5 | -1.4 | 0 | -0.9 | -1.7 | -0.5 | -0.9 | -0.7 |
| 2007 | 0.7 | -0.5 | 0.4 | 0 | 0.8 | -0.7 | 0.2 | 0.6 | 2.3 | -3.9 | -0.4 | -0.7 | -1.4 |
| 2008 | 1.8 | -2.3 | 2.4 | 1.6 | 0.2 | -0.5 | 0.6 | -1 | -1.5 | 5.3 | -11.5 | 4.6 | -1.3 |
| 2009 | -1.7 | -0.8 | 2.5 | 0.2 | 3.4 | 2 | -0.1 | -2.6 | -3.4 | -3 | 1.4 | -0.9 | -3.3 |
| 2010 | 0.6 | 2.6 | 0.7 | -2.9 | -3 | -1 | 0.5 | 3.7 | 0.6 | -0.9 | 1.7 | -0.4 | 1.9 |
| 2011 | 2.5 | -1.6 | 0.4 | 0.3 | -3.1 | 1.1 | -0.1 | -2.5 | -2.3 | -3.8 | -0.9 | -0.1 | -9.9 |
| 2012 | 2.1 | 0.3 | -0.4 | -0.5 | -2.8 | 2.6 | -1.9 | 0.4 | 0.4 | 0.8 | 0.1 | 2.2 | 3.3 |
| 2013 | 1 | 0.6 | -1.2 | -2.8 | -1 | 1.4 | 1 | -1.5 | 1 | -0.5 | 0.3 | 0.1 | -1.7 |
| 2014 | -1 | -0.6 | 1.4 | -0.4 | -0.5 | 1.2 | -0.8 | 0.8 | -1.7 | 1 | -1.8 | -0.2 | -2.6 |
| 2015 | -2.4 | -1 | 0.3 | 1.1 | 0.4 | 0 | 0.4 | -2.5 | -0.6 | -0.6 | 0.6 | -1.2 | -5.3 |
| 2016 | -0.6 | 1.5 | 0.7 | -0.9 | 0.8 | 0.9 | -0.2 | -0.1 | 1.2 | -1.4 | -0.2 | -0.4 | 1.4 |
| 2017 | 0.3 | 2.1 | 0.4 | 0.9 | 2.1 | -0.5 | 0.3 | 0.7 | 0.4 | -1.3 | -0.6 | -0.9 | 4 |
| 2018 | -0.1 | 0 | 0.7 | 0.6 | 0.7 | -0.3 | 0.1 | 0.7 | -1.8 | 1.7 | 0.5 | 0.9 | 3.6 |
| 2019 | 0.3 | 0.8 | 0.8 | -0.4 | -1.6 | 0.5 | -1.5 | -0.3 | -2.2 | 1.7 | 0 | 0.3 | -1.7 |
| 2020 | -2 | -1.2 | -6.5 | -3.6 | 0.7 | -1 | -1.7 | 0.9 | 1.5 | -1.8 | 0.4 | -0.4 | -14.1 |
| 2021 | 2.2 | 4.8 | 1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-08-16 49.8 SPY 122. -0.013 -0.00960 -0.0011 0.0394 0.122 0.307 -0.171 GLD 44.6 0.0095 0.0279
2 2005-08-17 50.1 SPY 122. -0.0001 -0.0092 -0.0067 0.0287 0.111 0.311 -0.167 GLD 43.9 -0.0144 0.006
3 2005-08-18 49.6 SPY 122. -0.0001 -0.0132 -0.0101 0.0243 0.114 0.281 -0.171 GLD 43.8 -0.0018 -0.0139
4 2005-08-19 50.0 SPY 122. 0.0023 -0.00480 -0.002 0.0281 0.108 0.298 -0.180 GLD 43.6 -0.0052 -0.02
5 2005-08-22 50.2 SPY 122. 0 -0.0109 -0.0087 0.0225 0.111 0.279 -0.179 GLD 43.7 0.0023 -0.0097
6 2005-08-23 50.2 SPY 122. -0.0019 0.0002 -0.0077 0.0229 0.108 0.264 -0.178 GLD 43.8 0.0014 -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
